Mining the Impact of Investor Sentiment on Stock Market from WeChat

摘要：

　　In this study, the CSI 300 Index in China mainland and original articles from authoritative stock WeChat public accounts are investigated regarding their relations.First, a sentence-level sentiment classification approach for analyzing investor sentiment polarities in text corpus is proposed by expanding synonyms.Then, the Granger causality test is utilized to examine the impact of sentiment index on the stock price and volume-values.It shows that the influence of overall investor sentiment on volume-values is more rapid than that on stock price and the impact of positive sentiment is found to be more lasting than the negative in both stock price and volume-values.Furthermore, it is worth noting that there is a dual-stage phenomenon in the impact of positive sentiment on volume-values, which indicates that some investors react to positive information immediately while others may choose to wait and follow the trend.

关键词： investor sentiment sentiment analysis stock market investor reaction WeChat

作者: Haiyuan Zhao Dannuo Wang Mingyan Wang Xinrui He Jian Jin

作者单位: School of Government, Beijing Normal University, China

会议类型: 国际会议

会议名称: The Eighteenth Wuhan International Conference on E-Business(第18届武汉电子商务国际会议)

会议地点: 武汉

会议语种:英文

页码: 45-53

在线出版日期: 2019-05-24（万方平台首次上网日期，不代表论文的发表时间）